上市公司资本成本面板数据模型与实证分析

本文利用我国上市公司1997至2002年的有关财务数据,建立了我国上市公司资本成本面板数据模型,运用该模型分析了我国上市公司资本成本与财务杠杆、企业规模的关系.结果表明,财务杠杆的提升、企业规模的扩大将使资本成本下降.该结论对我国上市公司优化资本结构、提高企业价值具有一定的参考价值.     

创业投资与金融体系关系的实证研究

本文实证研究了创业投资产业与金融体系的内在关系,并对目前我国以银行为中心的金融体系下发展创业投资产业提出了一些建议.     

Dynamics of a two-frequency parametrically driven duffing oscillator

Summary We investigate the transition from two-frequency quasiperiodicity to chaotic behavior in a model for a quasiperiodically driven magnetoelastic ribbon. The model system is a two-frequency parametrically driven Duffing oscillator. As a driving parameter is increased, the route to chaos takes place in four distinct stages. The first stage is a torus-doubling bifurcation. The second stage is a transition from the doubled torus to a strange nonchaotic attractor. The third stage is a transition from the strange nonchaotic attractor to a geometrically similar chaotic attractor. The final stage is a hard transition to a much larger chaotic attractor. This latter transition arises as the result of acrisis, the characterization of which is one of our primary concerns. Numerical evidence is given to indicate that the crisis arises from the collision of the chaotic attractor with the stable manifold of a saddle torus. Intermittent bursting behavior is present after the crisis with the mean time between bursts scaling as a power law in the distance from the critical control parameter; τ ∼ (A-A_c)^-α. The critical exponent is computed numerically, yielding the value α=1.03±0.01. Theoretical justification is given for the computed critical exponent. Finally, a Melnikov analysis is performed, yielding an expression for transverse crossings of the stable and unstable manifolds of the crisis-initiating saddle torus.     

Solitary wave solutions of nonlinear financial markets :data-modeling-concept-practicing

This paper seeks to solve the difficult nonlinear problem in financial markets on the complex system theory and the nonlinear dynamics principle, with the data-model-concept-practice issue-oriented reconstruction of the phase space by the high frequency trade data. In theory, we have achieved the differentiable manifold geometry configuration, discovered the Yang-Mills functional in financial markets, obtained a meaningful conserved quantity through corresponding space-time non-Abel localization gauge symmetry transformation, and derived the financial solitons, which shows that there is a strict symmetry between manifold fiber bundle and guage field in financial markets. In practical applications of financial markets, we have repeatedly carried out experimental tests in a fluctuant evolvement, directly simulating and validating the existence of solitons by researching the price fluctuations (society phenomena) using the same methods and criterion as in natural science and in actual trade to test the stock Guangzhou Proprietary and the futures Fuel Oil in China. The results demonstrate that the financial solitons discovered indicates that there is a kind of new substance and form of energy existing in financial trade markets, which likely indicates a new science paradigm in the economy and society domains beyond physics.      

Nonlinear Time Series Analysis Since 1990:Some Personal Reflections

Abstract I reflect upon the development of nonlinear time series analysis since 1990 by focusing on five majorareas of development. These areas include the interface between nonlinear time series analysis and chaos,thenonparametric/semiparametric approach,nonlinear state space modelling,financial time series and nonlinearmodelling of panels of time series.     

金融时间序列分析与建模

介绍了金融时间序列分析与建模的主要理论、方法,着重论述了近20多年发展起来的非平稳时间序列的建模方法及工具,指出进一步的研究方向.最后,对上证综合指数这一金融时间序列进行了实证分析.     

中国上市公司资本结构影响因素之实证研究

资本结构不仅是财务理论研究中的热点及难点,也日益成为公司理财决策的关键问题.本文从影响因素角度对资本结构进行实证研究.文中以深沪两市部分非金融类上市公司为样本,利用本世纪最初三年的企业财务数据,选取可能影响企业资本结构的多个指标为解释变量,利用单因素方差分析、主成分分析、逐步回归分析找出了主要影响因素及其影响方式,试图为国内上市公司资本结构决定因素提供最新实证研究证据,并为企业财务决策提供支持.     

Firm size distribution and mobility of the top 500 firms in China,the United States and the world

This paper considers the macroscopic and microscopic statistical features of the top 500 firms in China, the United States and the world, denoted as China 500 (CH500), Fortune 500 (US500) and Fortune Global 500 (FG500). From a macroscopic perspective, the firm size distribution of each category, when measured by revenue, is steadily distributed over the observed period, even during periods of financial crises. As is evidenced by the Gini coefficient, divergences between firm scales are most significant for the CH500. From a microscopic perspective, the underlying micro-dynamics are volatile and often turbulent due to the exit and entry of firms as well as shifts in their revenues and ranks. Such fluctuations, or mobility, are visualized in rank/revenue/share clocks. We also propose a revenue/rank/share mobility index that is a quantitative measurement of mobility. Among these, we find that the share mobility acts as an effective indicator of economic status; where there is a share mobility spike, there is an ailing economy. The share mobility indexes indicate that the 2008 Financial Crisis had little impact on the Chinese economy, while it triggered violent changes in the top 500 firms in the United States and the world.     

Statistical inference and modelling of momentum in stock prices

The following results are obtained, (i) It is possible to obtain a time series of market data {y(t)} in which the fluctuations in fundamental value have been compensated for. An objective test of the efficient market hypothesis (EMH), which would predict random correlations about a constant value, is thereby possible, (ii) A time series procedure can be used to determine the extent to which the differences in the data and the moving averages are significant. This provides a model of the form y(t)-y(t-l)=0.5{y(t- l)-y(t-2)}+ε(t)+0.8ε(r-1) where ε(t) is the error at time t, and the coefficients 0.5 and 0.8 are determined from the data. One concludes that today's price is not a random perturbation from yesterday's; rather, yesterday's rate of change is a significant predictor of today's rate of change. This confirms the concept of momentum that is crucial to market participants. (iii) The model provides out-of-sample predictions that can be tested statistically. (iv) The model and coefficients obtained in this way can be used to make predictions on laboratory experiments to establish an objective and quantitative link between the experiments and the market data. These methods circumvent the central difficulty in testing market data, namely, that changes in fundamentals obscure intrinsic trends and autocorrelations. This procedure is implemented by considering the ratio of two similar funds (Germany and Future Germany) with the same manager and performing a set of statistical tests that have excluded fluctuations in fundamental factors. For the entire data of the first 1149 days beginning with the introduction of the latter fund, a standard runs test indicates that the data is 29 standard deviations away from that which would be expected under a hypothesis of random fluctuations about the fundamental value. This and other tests provide strong evidence against the efficient market hypothesis and in favour of autocorrelations in the data. An ARIMA time series finds strong evidence (9.6 and 21.6 standard deviations in the two coefficients) that the data is described by a model that involves the first difference, indicating that momentum is the significant factor. The first quarter's data is used to make out-of-sample predictions for the second quarter with results that are significant to 3 standard deviations. Finally, the ARIMA model and coefficients are used to make predictions on laboratory experiments of Porter and Smith in which the intrinsic value is clear. The model's forecasts are decidedly more accurate than that of the null hypothesis of random fluctuations about the fundamental value.